A-Share Screening with Daily Range, Price Shape, and RSI Filters

Summary

This post proposes screening Chinese A-share stocks with a daily high-low range of at least 1% of the open, a price condition comparing the close with its five-day average, and a 14-period RSI below 65. It presents the filters as a way to find active stocks that are not overbought, and supplies example formulas and Python-style selection logic.

The post offers no backtest, performance figures, or evidence that the filters predict returns. It acknowledges that the selection rules are simple, the price-shape measure may be unreliable, and RSI results depend on the chosen lookback. The example code also combines conditions with mixed AND/OR operators, which may not implement the stated three-part screen as intended without explicit grouping. Treat the rules as a screening hypothesis that needs validation, including clear definitions, out-of-sample testing, and trading costs.

Key ideas

• The proposed screen combines a minimum daily range with a five-day price-shape condition and an RSI ceiling.
• The RSI threshold is intended to avoid stocks considered overbought by this rule.
• The post provides no empirical performance test for the screen.
• The code's mixed AND and OR conditions may produce selections different from the written strategy unless grouped explicitly.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.